What is Amihuds illiquidity?
The illiquidity measure used by Amihud in his paper, " Illiquidity and stock returns: cross-section and time-series effects"
Please post the algorithm or at least a reference to the paper.
http://archive.nyu.edu/bitstream/2451/27420/2/S-AM-00-10.pdf
I hope it's not too much work but that's a link to the paper.
Thanks
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